FSUHeting / DL_LOB_Trading_and_MidPirce_MovementLinks
Deep learning for limit order book trading and mid-price movement
☆55Updated 4 years ago
Alternatives and similar repositories for DL_LOB_Trading_and_MidPirce_Movement
Users that are interested in DL_LOB_Trading_and_MidPirce_Movement are comparing it to the libraries listed below
Sorting:
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆53Updated 2 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- High Frequency Jump Prediction Project☆39Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆67Updated 2 years ago
- Trend Prediction for High Frequency Trading☆43Updated 2 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- Deep learning modelling of orderbooks☆100Updated 4 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆35Updated 5 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆35Updated last year
- Pytorch implementation of TransLOB from Transformer for limit order books☆27Updated 2 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆34Updated 4 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Calibrates microprice model to BitMEX quote data☆61Updated 4 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆63Updated 2 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆58Updated 2 years ago
- Example of order book modeling.☆58Updated 6 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆104Updated 6 years ago
- Notes on Advances in Financial Machine Learning☆81Updated 6 years ago
- Machine learning trading method using meta-labeling. You can see the details in 'Advances in Financial Machine Learning' by Lopez de Prad…☆15Updated 4 years ago
- a unified environment for supervised learning and reinforcement learning in the context of quantitative trading☆45Updated 4 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆125Updated 2 years ago
- Cryptocurrency Trading with Reinforcement Learning based on Backtrader☆45Updated 8 months ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆70Updated 9 years ago